 |
| Resume
|
| Computer Skills |
|
Strong: C++, C#, R, MATLAB, SQL,
Perl, JavaScript Rusty: Java, Mathematica, PL/SQL, SAS |
| Mathematical Knowledge |
| Statistical regressions, probability theory, matrix algebra,
Black-Scholes option pricing math, risk-neutral valuation, random
walks/Brownian motion, interest rate/yield curve math, modern portfolio theory,
Monte Carlo simulation, big-O algorithm analysis, Bayesian statistics,
stochastic calculus, high-dimensional space, pattern classification/machine
learning (linear discriminant functions, neural networks, ...) |
| Visit my Amazon
list of "Selected Books I Have Read" to see book contents used in
self-study and formal courses. |
| Experience |
| Employer |
Title |
Work Description |
Time |
Freelance Quantitative Analyst / Developer
(part-time)
|
C# programming
of client-side data query/download software
of two financial data providers.
One of these programs is an Excel Add-in.
For American Express I retrieved data from a large corporate database using
SQL; calculated
statistical regressions, including a
logistic regression
in
SAS. |
Sep 2005
- Present
Lexington, MA |
Bear Stearns
Financial Analytics & Structured Transactions Group (F.A.S.T.) |
Vice President (Quant Developer) |
Specified and implemented in
C++
a matrix-based expression language (using
lex/yacc) for defining derivative product payoffs as
a function of multi-asset prices across time.
Wrote
C++
code for firm's quantitative library of Excel Add-in functions and a
program to compute resource-intensive statistics from historical equity implied
volatility database. Code automatically filtered out bad data and
generated nightly reports. Performed some database admin (DBA)
tasks with
Microsoft SQL
Server (optimizing stored procedures and re-building and repopulating a
large database). |
Dec 2003
- Jul 2005
New York, NY |
Credit Suisse First Boston
Equity Derivatives |
Summer Associate
Automated Market Making |
Various small 'summer intern projects' using
Perl,
S-PLUS
and
Excel. |
Jun 2003
- Aug 2003
New York, NY |
Tellme Networks
(start-up acquired by Microsoft )
|
Manager |
Managed 3 engineers building client-facing reporting website
with
Oracle SQL
database back-end. |
Dec 1999
- Jun 2001
Bay Area, CA |
| Business Analyst |
Worked with decision makers to frame business questions in
quantitative terms. Mined and analyzed data from corporate
SQL
database. Presented findings in practical terms to decision makers and in
company-wide meetings. |
| Software Engineer |
Programmed in
JavaScript,
Java
and
PL/SQL. |
Microsoft
Internet Explorer |
Program Manager |
Wrote technical specifications, managed software releases,
coordinated team efforts. |
Jun 1996
- Nov 1999
Seattle, WA |
|
| Education |
| MS in Mathematics in Finance |
New York University, Courant Institute of Mathematical Sciences |
2002 - 2003 |
| BS in Mathematics/Computer Science |
University of Illinois at Urbana-Champaign |
1991 - 1995 |
|
| Academic Papers |
| Type |
Citation |
| Journal Paper
|
Nachum Dershowitz
and E. Castedo Ellerman, April 2007, "Leanest
Quasi-Orderings", Information and Computation, vol. 205, no. 4,
pp. 535-556, doi:10.1016/j.ic.2006.10.007 |
Conference Paper
(refereed) |
Nachum Dershowitz
and E. Castedo Ellerman, April 2005, "Leanest Quasi-Orderings
(Preliminary version)", Proceedings of the Sixteenth International Conference on
Rewriting Techniques and Applications (Nara, Japan), J. Giesl, ed.,
Lecture Notes in Computer Science, vol. 3467, Springer-Verlag,
Berlin, Germany, pp. 32-45. |
| Unpublished Paper |
Nachum Dershowitz,
E. Castedo Ellerman, and Edward
M. Reingold, "Well-Quasi-Orderings
on Binary Trees". |
|
| Patents |
| 7,089,310 |
Web-to-phone account linking using a linking code for account
identification |
| 6,594,682 |
Client-side system for scheduling delivery of web content and
locally managing the web content |
| 6,553,409 |
Background cache synchronization |
|
| Standardized Test Scores |
| GMAT |
|
750 |
99th percentile |
2001 |
| GRE |
Quantitative |
800 & 780 |
97th & 91st percentile |
1994 & 2001 |
| Analytical |
790 & 750 |
98th & 92nd percentile |
|
| Other |
Fluent in Spanish.
EU and USA citizenship. |
|
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|
